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pro vyhledávání: '"Bruder, Benjamin"'
This article develops a model that takes into account skewness risk in risk parity portfolios. In this framework, asset returns are viewed as stochastic processes with jumps or random variables generated by a Gaussian mixture distribution. This dual
Externí odkaz:
http://arxiv.org/abs/2202.10721
Autor:
Bruder, Benjamin
Nous étudions quelques applications du contrôle stochastique à la couverture d'options en présence d'illiquidité. Dans la première partie, nous nous intéressons à un problème de surcouverture d'option dans un modèle à volatilité stochasti
Externí odkaz:
http://tel.archives-ouvertes.fr/tel-00262019
http://tel.archives-ouvertes.fr/docs/00/26/20/19/PDF/These.pdf
http://tel.archives-ouvertes.fr/docs/00/26/20/19/PDF/These.pdf
Autor:
Bruder, Benjamin, Pham, Huyen
We consider impulse control problems in finite horizon for diffusions with decision lag and execution delay. The new feature is that our general framework deals with the important case when several consecutive orders may be decided before the effecti
Externí odkaz:
http://arxiv.org/abs/math/0703769
Publikováno v:
Journal of Advanced Studies in Finance (JASF). III(05):5-26
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=42143
Publikováno v:
SIAM Journal on Numerical Analysis, 2009 Jan 01. 47(3), 2289-2320.
Externí odkaz:
https://www.jstor.org/stable/27862731
Autor:
Bruder, Benjamin, Pham, Huyên
Publikováno v:
In Stochastic Processes and their Applications 2009 119(5):1436-1469
Autor:
Bruder, Benjamin1 benjamin.bruder@lyxor.com, Hereil, Pierre1 pierre.hereil@lyxor.com, Roncalli, Thierry1 thierry.roncalli@lyxor.com
Publikováno v:
Journal of Advanced Studies in Finance (De Gruyter Open). Summer2012, Vol. 3 Issue 1, p5-26. 22p. 12 Charts, 9 Graphs.
Autor:
Bruder, Benjamin
We consider a financial market, in which a first asset will be referred as the underlying and the second one as a derivative. In this market, the volatility on the underlying depends of the price of the derivative. Furthermore, the derivative is cons
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::8b4b84229ccf86329c29781d4241380b
https://hal.archives-ouvertes.fr/hal-00012183
https://hal.archives-ouvertes.fr/hal-00012183
Publikováno v:
Banque Magazine / Revue Banque. oct2011, Issue 740, p48-50. 3p.